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Computational Management Science

, Volume 16, Issue 1–2, pp 17–46 | Cite as

Multistage portfolio optimization with multivariate dominance constraints

  • Barbora PetrováEmail author
Original Paper
  • 38 Downloads

Abstract

In this article we focus on multistage portfolio optimization problem with usage of multivariate stochastic dominance constraints. The first part of the work is devoted to the theoretical background needed for establishing the optimization problem. We provide a general approach to multivariate stochastic dominance, we mainly recall basic definitions and several statements that are relevant for portfolio optimization, and describe an algorithm for detecting multivariate stochastic dominance of two random vectors with discrete distributions. The main part of the work introduces multivariate stochastic dominance constraints in multistage portfolio optimization problem. We compare obtained results with traditional model which employs univariate first order stochastic dominance constraints at each stage.

Keywords

Multivariate stochastic dominance Stochastic dominance constraints Multistage portfolio optimization problem 

Notes

Acknowledgements

I would like to express the gratitude to my supervisor Miloš Kopa for his valuable comments to this article. This work was supported by Czech Science Foundation (Grant 402/12/G097).

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Probability and Mathematical Statistics, Faculty of Mathematics and PhysicsCharles UniversityPrague 8Czech Republic

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